有偏分布下的VaR估计方法研究

Study on the Estimation method of VaR Based on Skewed Distribution

文章利用GARCHS模型对金融时间序列的条件偏度进行动态建模,在此基础上提出了有偏分布下VaR的估计方法。通过沪铜期货的实证结果表明,沪铜期货收益的条件偏度时变特征明显,其收益存在明显的有偏特征。对沪铜期货VaR估计的Kupiec检验比较表明,基于GARCHS模型的VaR估计方法能够提高有偏分布下VaR的估计精度。

This paper uses GRACHS model to carry out a dynamic modeling for finance time series, and based on this, puts forward the estimation method of VaR under skewed distribution. The empirical results of Shanghai copper futures markets suggest that, the benefits of Shanghai copper futures are time varying significantly and have obvious skewed distribution. The Kupiec test comparison of estimation for VaR of Shanghai copper futures shows that, the Estimation method of VaR based on the GARCHS model can improve the estimation accuracy for VaR under skewed distribution.